Unfortunately, it seems you're correct. The KeyDown/KeyUp events do not get raised when you press the Insert key- only the AddingNewDataItem event. And that event does not currently provide a "Handled" or "Cancel" option in the event args. It would seem this is some somthing that needs to be addressed in the control's API. I'd expect that you'd like:
A) The KeyDown/Up events to fire for the Insert key before the AddingNewDataItem event fires
B) The AddingNewDataItem has an option to "Cancel" the insert
C) The GridView offers some property (like AllowInsert) to easily enable disabling of the insert feature
Does that sound right?